Maria Cristina Recchioni

Available identifiers

zbMath Open recchioni.maria-cristinaWikidataQ96038790 ScholiaQ96038790MaRDI QIDQ237798

List of research outcomes

Publication	Date of Publication	Type
A tail-revisited Markowitz mean-variance approach and a portfolio network centrality	2022-10-24	Paper
Bias-optimal vol-of-vol estimation: the role of window overlapping	2022-06-17	Paper
The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications	2021-06-07	Paper
Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach	2019-02-11	Paper
Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model	2018-11-19	Paper
A calibration procedure for analyzing stock price dynamics in an agent-based framework	2018-08-13	Paper
From bond yield to macroeconomic instability: a parsimonious affine model	2017-12-06	Paper
A PERTURBATIVE APPROACH TO ACOUSTIC SCATTERING FROM A VIBRATING BOUNDED OBSTACLE	2017-05-09	Paper
Fourier-Malliavin Volatility Estimation	2017-01-06	Paper
An explicitly solvable Heston model with stochastic interest rate	2016-10-07	Paper
A hybrid method to evaluate pure endowment policies: Crédit Agricole and ERGO index linked policies	2015-01-28	Paper
The use of statistical tests to calibrate the normal SABR model	2013-09-26	Paper
The use of statistical tests to calibrate the Black-Scholes asset dynamics model applied to pricing options with uncertain volatility	2012-06-19	Paper
https://portal.mardi4nfdi.de/entity/Q2892428	2012-06-18	Paper
https://portal.mardi4nfdi.de/entity/Q3068487	2011-01-15	Paper
A method to solve an acoustic inverse scattering problem involving smart obstacles	2010-07-30	Paper
Determining a stable relationship between hedge fund index HFRI-Equity and S&P 500 behaviour, using filtering and maximum likelihood	2010-01-26	Paper
Pricing realized variance options using integrated stochastic variance options in the heston stochastic volatility model	2009-07-03	Paper
Analysis of quadrature methods for pricing discrete barrier options	2009-05-18	Paper
A method for computing the transition probability density associated with a multifactor Cox-Ingersoll-Ross model of the term structure of interest rates with no drift term	2009-03-09	Paper
A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics	2009-02-06	Paper
https://portal.mardi4nfdi.de/entity/Q3538711	2008-11-24	Paper
Box-constrained multi-objective optimization: A gradient-like method without ``a priori scalarization	2008-03-11	Paper
Maximum likelihood estimation of the parameters of a system of stochastic differential equations that models the returns of the index of some classes of hedge funds	2007-12-17	Paper
A numerical method to solve an acoustic inverse scattering problem involving ghost obstacles	2007-07-27	Paper
https://portal.mardi4nfdi.de/entity/Q3437616	2007-05-09	Paper
Optimal-control methods for two new classes of smart obstacles in time-dependent acoustic scattering	2007-03-14	Paper
https://portal.mardi4nfdi.de/entity/Q5482740	2006-08-28	Paper
Direct and inverse acoustic scattering problems involving smart obstacles	2006-04-28	Paper
Spectral concentration phenomena for the Laplace operator with the Dirichlet boundary condition on a cavity	2005-09-12	Paper
https://portal.mardi4nfdi.de/entity/Q4654816	2005-03-10	Paper
Furtivity and masking problems in time-dependent electromagnetic obstacle scattering.	2005-01-11	Paper
A path following method for box-constrained multiobjective optimization with applications to goal programming problems	2004-03-07	Paper
https://portal.mardi4nfdi.de/entity/Q4450204	2004-02-15	Paper
The Use of Wavelets in the Operator Expansion Method for Time-Dependent Acoustic Obstacle Scattering	2004-01-20	Paper
A new formalism for time-dependent electromagnetic scattering from a bounded obstacle	2004-01-14	Paper
A hybrid method for pricing European options based on multiple assets with transaction costs	2002-09-04	Paper
Quadratically convergent method for simultaneously approaching the roots of polynomial solutions of a class of differential equations: Application to orthogonal polynomials	2002-03-26	Paper
An interior point algorithm for global optimal solutions and KKT points	2002-02-07	Paper
Monotone variable-metric algorithm for linearly constrained nonlinear programming	2001-06-24	Paper
The use of the Pontryagin maximum principle in a furtivity problem in time-dependent acoustic obstacle scattering	2001-01-01	Paper
A stochastic algorithm for constrained global optimization	2000-09-14	Paper
Time harmonic electromagnetic scattering from a bounded obstacle: An existence theorem and a computational method	2000-08-16	Paper
Inverse problem for a class of two-dimensional diffusion equations with piecewise constant coefficients	1999-12-17	Paper
Hamilton-based Numerical Methods for a Fluid-Membrane Interaction in Two and Three Dimensions	1998-05-12	Paper
https://portal.mardi4nfdi.de/entity/Q4370911	1998-04-02	Paper
The time harmonic electromagnetic field in a disturbed half-space: An existence theorem and a computational method	1998-01-18	Paper
https://portal.mardi4nfdi.de/entity/Q4352298	1997-08-28	Paper
Three-dimensional time harmonic electromagnetic inverse scattering: The reconstruction of the shape and the impedance of an obstacle	1997-07-23	Paper
https://portal.mardi4nfdi.de/entity/Q5688493	1997-03-11	Paper
Modified Newton method in circular interval arithmetic	1996-02-06	Paper
Asymptotic eigenvalue degeneracy for a class of three-dimensional Fokker–Planck operators	1995-01-01	Paper
A quadratically convergent method for linear programming	1991-01-01	Paper

Research outcomes over time

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